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Top Cited Articles of The Journal of Finance(01)

2019-2-20 17:12| 发布者: sujiaoshou| 查看: 484| 评论: 0|原作者: 金融经济学 |来自: 金融经济学

摘要: Top Cited Articles of The Journal of Finance(01)

Top Cited Articles of The Journal of Finance(01)

金融经济学 1周前


 

1、Portfolio Selection

The Journal of Finance, 1952, 7(1): 77-91

 

Harry Markowitz, University of California, San Diego

 

Abstract

The process of selecting a portfolio may be divided into two stages. The first stage starts with observation and experience and ends with beliefs about the future performances of available securities. The second stage starts with the relevant beliefs about future performances and ends with the choice of portfolio. This paper is concerned with the second stage. We firstconsider the rule that the investor does (or should) maximize discounted expected, or anticipated, returns. This rule is rejected both as a hypothesis to explain, and as a maximum to guide investment behavior. We next consider the rule that the investor does (or should) consider expected return a desirable thing and variance of return an undesirable thing. This rule has many sound points, both as a maxim for, and hypothesis about, investment behavior. We illustrate geometrically relations between beliefs and choice of portfolio according to the "expected returns-variance of returns" rule.

 

原文链接:

https://www.jstor.org/stable/2975974

 

 

2、Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk

The Journal of Finance, 1964, 19(3): 425-442

 

William F. Sharpe, University of Washington

 

Abstract

One of the problems which has plagued those attempting to predict the behavior of capital markets is the absence of a body of positive microeconomic theory dealing with conditions of risk. Although many useful insights can be obtained from the traditional models of investment under conditions of certainty, the pervasive influence of risk in financial transactions has forced those working in this area to adopt models of price behavior which are little more than assertions. A typical classroom explanation of the determination of capital asset prices, for example, usually begins with a careful and relatively rigorous description of the process through which individual preferences and physical relationships interact to determine an equilibrium pure interest rate. This is generally followed by the assertion that somehow a market risk-premium is also determined, with the prices of assets adjusting accordingly to account for differences in their risk.

 

原文链接:

https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.1964.tb02865.x

 

 

3、Efficient Capital Markets: A Review Of Theory And Empirical Work

The Journal of Finance, 1970, 25(2): 383-417

 

Eugene F. Fama, University of  Chicago

 

Abstract

This paper reviews the theoretical and empirical iterature on the efficient markets model. After a discussion of the theory, empirical work concerned with the adjustment of security prices to three relevant information subsets is considered. First, weak form tests, in which the information set is just historical prices, are discussed. Then semi-strong form tests, in which the concern is whether prices efficiently adjust to other information that is obviously publicly available (e.g., announcements of annual earnings, stock splits, etc.) are considered. Finally, strong form tests concerned with whether given investors or groups have monopolistic access to any information relevant for price formation are reviewed. We shall conclude that, with but a few exceptions, the efficient markets model stands up well.

 

原文链接:

https://www.jstor.org/stable/2325486

 

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